The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Book‐to‐Market Equity, Distress Risk, and Stock Returns
Abstract
This paper examines the relationship between book‐to‐market equity, distress risk, and stock returns. Among firms with the highest distress risk as proxied by Ohlson's (1980) O‐score, the difference in returns between high and low book‐to market securities is more than twice as large as that in other firms. This large return differential cannot be explained by the three‐factor model or by differences in economic fundamentals. Consistent with mispricing arguments, firms with high distress risk exhibit the largest return reversals around earnings announcements, and the book‐to‐market effect is largest in small firms with low analyst coverage.
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Citations
Cites
Common risk factors in the returns on stocks and bonds
Fama, E. F., & French, K. R. (1993) · Journal of Financial Economics · doi:10.1016/0304-405x(93)90023-5 · Cited by 25,754
Conditioning variables and the cross-section of stock returns
Ferson, W. E., & Harvey, C. R. (1999) · The Journal of Finance · doi:10.1111/0022-1082.00148 · Cited by 839
Cited by
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Short Arbitrage, Return Asymmetry, and the Accrual Anomaly
Hirshleifer, D., Teoh, S. H., & Yu, J. J. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr012 · Cited by 279
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
Gagliardini, P., Ossola, E., & Scaillet, O. (2016) · Econometrica · doi:10.3982/ecta11069 · Cited by 278
Cash holdings and firm performance relationship: Do firm-specific factors matter?
Yun, J., Ahmad, H., Jebran, K., & Muhammad, S. (2021) · Economic Research-Ekonomska Istraživanja · doi:10.1080/1331677x.2020.1823241 · Cited by 53
Environmentally significant behavior in the home
Stern, P. C. (2008) · The Cambridge Handbook of Psychology and Economic Behaviour · doi:10.1017/cbo9780511490118.015 · Cited by 50
Metadata
- Authors
- Griffin, J. M., & Lemmon, M. L.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2002-10
- Volume
- 57
- Issue
- 5
- Pages
- 2317-2336
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W2135863416
- Cited by
- 777
- References
- 2
- FWCI
- 19.67
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
